The risk and analytics component of Market Edge enables participants to input a range of factors including forecasts of production and load, fuel supply and financial products to formulate an appropriate strategy. It also produces a wide variety of risk and analytics reporting capability that can be tailored to a client’s requirements.

Key functions include:

  • Multi-Commodity Simulations – Integration of correlation matrix for simulations of forward and physical market conditions
  • Pricing Tools – Transfer and fair value pricing calculations of derivative contracts
  • Portfolio Optimisation – Calculation of market volume, price and credit risk and the development of optimal (minimum risk) hedging portfolio strategies including physical portfolio dispatch methodologies
  • Inventory Management – Environmental certificates and other registries
  • Credit Risk Tools – Mark to market, settlement calculations and invoicing, counterparty credit (total & residual exposure and at-risk) and credit support arrangement calculations
  • Portfolio Risk Reporting – Gross Margin at Risk (GMaR), Earnings at Risk (EaR), Value at Risk (VaR), Cash Flow at Risk (CFaR), Futures Margins at Risk (FMaR)
  • Add Hedge Effectiveness Testing to Market Edge – Accounting treatment of hedge effectiveness testing
Market Edge – Risk and Analytics
Market Edge – Risk and Analytics
Market Edge – Risk and Analytics

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